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Which army you start 40K with should be the one you find most compelling. If that's the Adeptus Sororitas, then you should go for it. What previous posters have stated about the expense are not wrong. However, considering the amount of time you are likely to put into assembling and painting minis, you want to pick an army that will hold your attention through the process.

Are Sisters of Battle good on the table? Yes. They are very solid. They can put a lot of light mech with good guns on the table, and they're strong at fielding multiple small units with two or more special weapons in them. What they lack is a flashy centerpiece unit, but you could ally in an Imperial Knight for that. Plus, the new Celestine model is absolutely gorgeous, also makes a good centerpiece, brings a lot of extra utility to the army, and is a steal for her points. No reason you couldn't do both Celestine and an Imperial Knight.